Credit risk analysis of mortgage loans: An application to the Italian market [An article from: European Journal of Operational Research]
This digital document is a journal article from European Journal of Operational Research, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
The valuation of financial instruments in which both credit risk and interest rate risk are taken into account is an outstanding task for financial institutions. In this paper, we propose an affine-reduced model dealing with this topic. We show that this model offers analytical tractability as well as flexibility. We also show that the parameters of the model can be estimated via maximum likelihood in a straightforward way. To outline the procedure, we estimate the model on Italian data, using zero-coupon bond and historical default probabilities, as provided by the Bank of Italy.
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